<p>
  Trend estimation is a family of methods to detect and predict tendencies and trends in price series just using the history information. Moving average is a commonly used trend following trading tool. Lots of momentum trading strategies in the Forex market are based on the moving average rule, in which signals are triggered if the close is above or below the moving average. But MA has the time lag, therefore can't be used to predict the turning points of market price changes.
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<p>
  In this tutorial, I developed a trend following strategy which is proposed in the paper Harris R D F, Yilmaz F(2009).
  This strategy exploits short-term momentum in the non-linear trend component of the exchange rate which is generated by Hodrick-Prescott Filter (rather than the exchange rate itself) and uses the MA(1, 2) rule to measure this momentum. The strategy was tested on seven kinds of exchange rates and the results shows less robustness and the performance is sensitive to the change of model parameters.
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